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2. A Framework to Charge for Unit-Linked Contracts When Considering Guaranteed Risk. (2015). Lee, Yung-Tsung.
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3. Valuation of finance/insurance contracts: Efficient hedging and stochastic interest rates modeling. (2014). Tong, Shuo ; Melnikov, Alexander.
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4. Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment. (2008). Zaglauer, Katharina ; Bauer, Daniel.
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5. Valuation of life insurance surrender and exchange options. (2008). Nordahl, Helge.
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6. Asset and liability modelling for participating policies with guarantees. (2008). Consiglio, Andrea ; Zenios, Stavros ; Cocco, Flavio.
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7. Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: A stochastic programming approach. (2008). Lindset, Snorre ; Fleten, Stein-Erik.
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8. A Technique for Reducing Discretization Bias from Monte Carlo Simulations: Option Pricing under Stochastic Interest Rates. (2007). Lund, Arne-Christian ; Lindset, Snorre.
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9. Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: A stochastic programming approach. (2006). Lindset, Snorre ; Fleten, Stein-Erik.
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10. Interest Guarantees in Banking. (2005). Norberg, Ragnar.
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1. Hedging Futures Options with Stochastic Interest Rates. (2016). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Cheng, Benjamin.
   In: Research Paper Series.
   RePEc:uts:rpaper:375.

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2. Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter?. (2016). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Cheng, Benjamin.
   In: Research Paper Series.
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3. Alternative methods to derive option pricing models: review and comparison. (2016). Lee, Cheng Few ; Chen, Yibing.
   In: Review of Quantitative Finance and Accounting.
   RePEc:kap:rqfnac:v:47:y:2016:i:2:d:10.1007_s11156-015-0505-5.

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4. Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates. (2015). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Cheng, Benjamin.
   In: Research Paper Series.
   RePEc:uts:rpaper:366.

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5. Pricing inflation-linked variable annuities under stochastic interest rates. (2013). Tiong, Serena.
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:52:y:2013:i:1:p:77-86.

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6. One numerical procedure for two risk factors modeling. (2011). Cocozza, Rosa ; de Simone, Antonio.
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7. Quantile hedging for equity-linked life insurance contracts in a stochastic interest rate economy. (2011). He, Ting ; Gao, Quansheng ; Zhang, Chi.
   In: Economic Modelling.
   RePEc:eee:ecmode:v:28:y:2011:i:1:p:147-156.

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8. Quantile hedging for equity-linked life insurance contracts in a stochastic interest rate economy. (2011). He, Ting ; Gao, Quansheng ; Zhang, Chi.
   In: Economic Modelling.
   RePEc:eee:ecmode:v:28:y:2011:i:1-2:p:147-156.

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9. Midquotes or Transactional Data? The Comparison of Black Model on HF Data. (2010). Sakowski, Pawel ; Ślepaczuk, Robert ; Kokoszczyński, Ryszard ; Kokoszczyski, Ryszard.
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10. American option pricing under stochastic volatility: an empirical evaluation. (2010). Guha, Suchandan ; Goswami, Manisha ; Aitsahlia, Farid.
    In: Computational Management Science.
    RePEc:spr:comgts:v:7:y:2010:i:2:p:189-206.

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11. International money and stock market contingent claims. (2010). Monfort, Alain ; gourieroux, christian ; Sufana, R..
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:29:y:2010:i:8:p:1727-1751.

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12. Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility. (2009). Pelsser, Antoon ; Lord, Roger ; Schrager, David ; van Haastrecht, Alexander.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:45:y:2009:i:3:p:436-448.

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13. Calibration and Pricing in a Multi-Factor Quadratic Gaussian Model. (2007). Assefa, Samson ; Bruti-Liberati, Nicola ; Platen, Eckhard ; Nikitopoulos-Sklibosios, Christina.
    In: Research Paper Series.
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14. Pricing Swaptions and Credit Default Swaptions in the Quadratic Gaussian Factor Model. (2007). Assefa, Samson.
    In: PhD Thesis.
    RePEc:uts:finphd:31.

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15. Tax liens: a novel application of asset pricing theory. (2007). Jarrow, Robert ; Tyagi, Vikrant.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:10:y:2007:i:2:p:181-204.

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16. What is the correct meaning of implied volatility?. (2007). Hyun, Jung-Soon ; Kim, In Joon ; Park, Gun Youb.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:4:y:2007:i:3:p:179-185.

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17. On the Consistency of the Lucas Pricing Formula. (2005). Aase, Knut.
    In: Discussion Papers.
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18. Modeling time series information into option prices: An empirical evaluation of statistical projection and GARCH option pricing model. (2005). Leung, Mark T. ; Chen, An-Sing.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:12:p:2947-2969.

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19. Pricing counterparty default risks: Applications to FRNs and vulnerable options. (2005). Kang, Jangkoo ; Kim, Hwa-Sung.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:14:y:2005:i:3:p:376-392.

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20. On the Consistency of the Lucas Pricing Formula. (2005). Aase, Knut.
    In: University of California at Los Angeles, Anderson Graduate School of Management.
    RePEc:cdl:anderf:qt6gk6b0xw.

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21. Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach. (2004). Castillo, Augusto.
    In: Latin American Journal of Economics-formerly Cuadernos de Economía.
    RePEc:ioe:cuadec:v:41:y:2004:i:124:p:345-360.

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22. Optimal consumption and investment strategies with stochastic interest rates. (2004). Munk, Claus ; Sorensen, Carsten.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:28:y:2004:i:8:p:1987-2013.

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23. The Econometrics of Option Pricing. (2004). Renault, Eric ; Ghysels, Eric ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-04.

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24. Pricing of multi-period rate of return guarantees. (2003). Lindset, Snorre.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:33:y:2003:i:3:p:629-644.

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25. Empirical assessment of an intertemporal option pricing model with latent variables. (2003). Renault, Eric ; Luger, Richard ; Garcia, René.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:116:y:2003:i:1-2:p:49-83.

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26. Do Swedes smile? On implied volatility functions. (2002). Engstrom, Malin .
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:12:y:2002:i:4-5:p:285-304.

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27. Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy. (2002). Carpenter, Jennifer ; Acharya, Viral.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3328.

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28. Effects of Stochastic Interest Rates and Volatility on Contingent Claims (Revised Version). (2001). Kim, Yong-Jin ; Kunitomo, Naoto.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2001cf129.

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29. Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables. (2001). Renault, Eric ; Luger, Richard ; Garcia, René.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2001-10.

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30. Asymmetric Smiles, Leverage Effects and Structural Parameters.. (2001). Renault, Eric ; Luger, Richard ; Garcia, René.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2001-09.

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31. Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002). (2001). Renault, Eric ; Luger, Richard ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-02.

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32. Asymmetric Smiles, Leverage Effects and Structural Parameters. (2001). Renault, Eric ; Luger, Richard ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-01.

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33. Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates. (2000). van der Sluis, Pieter ; Jiang, G. J..
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    RePEc:tiu:tiucen:c0839083-c128-4a3f-a2c5-faa967ae4d9d.

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34. The intersection of market and credit risk. (2000). Jarrow, Robert ; Turnbull, Stuart M..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:24:y:2000:i:1-2:p:271-299.

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35. Pricing and hedging derivative securities with neural networks and a homogeneity hint. (2000). Garcia, René.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:94:y:2000:i:1-2:p:93-115.

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36. Pricing and hedging long-term options. (2000). Chen, Zhiwu ; Cao, Charles ; Bakshi, Gurdip.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:94:y:2000:i:1-2:p:277-318.

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37. Valuing Energy Options in a One Factor Model Fitted to Forward Prices. (1999). Clewlow, Les ; Strickland, Chris .
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38. Pricing Options under Stochastic Interest Rates: A New Approach. (1999). .
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39. Pricing rate of return guarantees in a Heath-Jarrow-Morton framework. (1999). Persson, Svein-Arne ; Miltersen, Kristian R..
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    RePEc:eee:insuma:v:25:y:1999:i:3:p:307-325.

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40. Latent Variable Models for Stochastic Discount Factors. (1999). Renault, Eric ; Garcia, René.
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41. Pricing stock and bond derivatives with a multi-factor Gaussian model. (1998). Isabelle Bajeux-Besnainou, Roland Portait, .
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    RePEc:taf:apmtfi:v:5:y:1998:i:3-4:p:207-225.

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42. Risk Aversion, Intertemporal Substitution, and Option Pricing. (1998). Renault, Eric ; Garcia, René.
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43. An Adaptive Evolutionary Approach to Option Pricing via Genetic Programming. (1998). Chidambaran, N. K. ; Trigueros, Joaguin R. ; Lee, Chi-Wen Jevons .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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44. A direct discrete-time approach to Poisson-Gaussian bond option pricing in the Heath-Jarrow-Morton model. (1998). Das, Sanjiv.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:23:y:1998:i:3:p:333-369.

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45. Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint. (1998). Garcia, René ; Genay, Ramazan.
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    RePEc:cir:cirwor:98s-35.

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46. Risk Aversion, Intertemporal Substitution, and Option Pricing. (1998). Renault, Eric ; Garcia, René.
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47. An Efficient Generalized Discrete-Time Approach to Poisson-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model. (1997). Das, Sanjiv.
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48. An alternative valuation model for contingent claims. (1997). Chen, Zhiwu ; Bakshi Gurdip S., .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:44:y:1997:i:1:p:123-165.

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49. A path-dependent approach to security valuation with application to interest rate contingent claims. (1997). Gilkeson, James H. ; Breeden, Douglas T..
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    RePEc:eee:jbfina:v:21:y:1997:i:4:p:541-562.

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50. The pricing of Asian options under stochastic interest rates. (1996). Sandmann, Klaus ; Nielsen, J. A..
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